you no need to initialize the Session Key.
when user log-in in application at that time you can set some session variable
i.e
Session["Variable Name"]= value
You can create a multiple session like, i.e Session["UserName"],Session["UserID"] etc..
Once you set the session variable then you can user it in whole application.
and When User will close the browser or logout from the application then you can clear the session.
you can manage Session in different ways in asp.net
Session Variable